If you side with the stormcloaks and win why are the Imperial camp legates immortal? What are the thalmor chilling out in markarth?

Bad game design.

I think they plain forgot program it to turn of the NPC immortality after a quest is complete.

Lots of little oversights like that in Skyrim. Nothing game breaking, but seems lazy sometimes.

The Thalmor should be gone from Markarth if you help the Stormcloaks. As for the immortal legates, it's a bug.